Download or read book Studies of Credit and Equity Markets with Concepts of Theoretical Physics written by Michael Münnix and published by Springer Science & Business Media. This book was released on 2011-07-29 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.
Download or read book Indices Index Funds And ETFs written by Michael I. C. Nwogugu and published by Springer. This book was released on 2019-03-09 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Download or read book Handbook of Fixed Income Securities written by Pietro Veronesi and published by John Wiley & Sons. This book was released on 2016-03-23 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
Download or read book Complex Systems and Sustainability in the Global Auditing Consulting and Credit Rating Agency Industries written by Nwogugu, Michael I. C. and published by IGI Global. This book was released on 2021-05-07 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current and future issues in the global accounting/consulting, business opportunity, and credit rating agency (CRA) industries can have significant multiplier-effects on international trade, sustainable growth, and compliance (as physical phenomena). These three industries are among the most international and human-capital-intensive of all service industries. In these industries, analysis of business models and industry dynamics can provide insights about how human-computer interaction (HCI) and contract theory affect the evolution of financial market ecosystems and cross-border information flows, and how business models, work-allocation mechanisms, and liability allocation can evolve to manage change. An often-overlooked issue is that non-performing loans (NPLs), sustainability, and CRA efficiency can be significantly affected by business processes, corporate strategy, and HCI in industry ecosystems, multinational corporations (MNCs), and economic systems. Complex Systems and Sustainability in the Global Auditing, Consulting, and Credit Rating Agency Industries compares these three industries and introduces theories of public policy and “inter-business” processes. The book links industry structure, complex systems (including networks), behavioral game theory, structural changes, and antitrust problems to sustainability and the efficiency of pollution-remediation systems. The book introduces new “informal algorithms” and business/resource-allocation models that solve social-choice problems, and also contravene “impossibility theorems” that are at the core of modern computer science and mechanism design. This book is essential for professors and masters/PhD-level students and employees (in industry, financial services, research institutes, consulting firms, and government agencies) who are interested in industrial mathematics and theoretical computer science.
Download or read book Credit Risk Frontiers written by Tomasz Bielecki and published by John Wiley & Sons. This book was released on 2011-02-14 with total page 770 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.
Download or read book Physics and Finance written by Volker Ziemann and published by Springer Nature. This book was released on 2021-01-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces physics students to concepts and methods of finance. Despite being perceived as quite distant from physics, finance shares a number of common methods and ideas, usually related to noise and uncertainties. Juxtaposing the key methods to applications in both physics and finance articulates both differences and common features, this gives students a deeper understanding of the underlying ideas. Moreover, they acquire a number of useful mathematical and computational tools, such as stochastic differential equations, path integrals, Monte-Carlo methods, and basic cryptology. Each chapter ends with a set of carefully designed exercises enabling readers to test their comprehension.
Download or read book Innovations and Challenges of the Energy Transition in Smart City Districts written by Sven Leonhardt and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-12-31 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Energiekonzept und die Beschlüsse der Bundesregierung zur Energiewende sind wichtige Weichenstellungen für die Gestaltung des zukünftigen Energiesystems. So soll u. a. die Energieeffizienz in dem Maße gesteigert werden, dass bis zum Jahr 2050 nur noch die Hälfte des Primärenergieverbrauchs im Vergleich zum Jahr 2008 benötigt wird. In Deutschland leben rund 75 % der Menschen in Städten. Daher sind Städte und Agglomerationen besondere Lebens-, Wirtschafts- und Kulturräume. Als solche verlangen sie nach einem zukunftsfähigen Energiesystem und müssen in hohem Maße energieeffizient ausgestaltet sein. Besonders relevant für die Steigerung der Energieeffizienz ist der Gebäudesektor: In den Wohn- und Nichtwohngebäuden bundesweit entstehen rund 35 % des Endenergieverbrauchs, etwa drei Viertel davon in Form von Wärme. Die von der Bundesregierung beschlossene Energiewende, also der Umbau der deutschen Energieversorgung auf Basis hoher Effizienz und mit weitgehender Nutzung erneuerbarer Energien, kann deshalb nur gelingen, wenn diese Wende nicht nur im Strom-, sondern auch im Wärmemarkt umgesetzt wird (sogenannte "Wärmewende"). Mit Blick auf das energie- und klimapolitische Ziel eines nahezu klimaneutralen Gebäudebestands bis zum Jahr 2050 sind neben einer gesteigerten Energieeffizienz die erneuerbaren Energien in weit größerem Maße in den Wärmesektor zu integrieren. Städte und Agglomerationen bieten aufgrund der großen Hebelwirkung die Möglichkeit, technologische und gesellschaftliche Innovationen ungleich schneller und wirksamer in die Praxis umzusetzen und damit die energiepolitischen Ziele der Bundesregierung zu erfüllen.
Download or read book The Risk Modeling Evaluation Handbook Rethinking Financial Risk Management Methodologies in the Global Capital Markets written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-12 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk
Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.
Download or read book Creating a Learning Society written by Joseph E. Stiglitz and published by Columbia University Press. This book was released on 2015-10-06 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: “A superb new understanding of the dynamic economy as a learning society, one that goes well beyond the usual treatment of education, training, and R&D.”—Robert Kuttner, author of The Stakes: 2020 and the Survival of American Democracy Since its publication Creating a Learning Society has served as an effective tool for those who advocate government policies to advance science and technology. It shows persuasively how enormous increases in our standard of living have been the result of learning how to learn, and it explains how advanced and developing countries alike can model a new learning economy on this example. Creating a Learning Society: Reader’s Edition uses accessible language to focus on the work’s central message and policy prescriptions. As the book makes clear, creating a learning society requires good governmental policy in trade, industry, intellectual property, and other important areas. The text’s central thesis—that every policy affects learning—is critical for governments unaware of the innovative ways they can propel their economies forward. “Profound and dazzling. In their new book, Joseph E. Stiglitz and Bruce C. Greenwald study the human wish to learn and our ability to learn and so uncover the processes that relate the institutions we devise and the accompanying processes that drive the production, dissemination, and use of knowledge . . . This is social science at its best.”—Partha Dasgupta, University of Cambridge “An impressive tour de force, from the theory of the firm all the way to long-term development, guided by the focus on knowledge and learning . . . This is an ambitious book with far-reaching policy implications.”—Giovanni Dosi, director, Institute of Economics, Scuola Superiore Sant’Anna “[A] sweeping work of macroeconomic theory.”—Harvard Business Review
Download or read book Utility Based Learning from Data written by Craig Friedman and published by CRC Press. This book was released on 2016-04-19 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: Utility-Based Learning from Data provides a pedagogical, self-contained discussion of probability estimation methods via a coherent approach from the viewpoint of a decision maker who acts in an uncertain environment. This approach is motivated by the idea that probabilistic models are usually not learned for their own sake; rather, they are used t
Download or read book Reverse Stress Testing in Banking written by Michael Eichhorn and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-05-10 with total page 583 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.
Download or read book Risk written by and published by . This book was released on 2001 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book SAEQ Issue 01 written by and published by SAEQ LTD. This book was released on 2013-10-23 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issue 01 Oct-Nov-Dec 2013 The Multi-Fructural Analysis Of Fatigue Failure Under Friction Process A.M. Pashayev, A.Kh. Janahmadov, O.A. Dyshin, M.Y. Javadov The article shows the need to combine approaches of synergetics and fractals in the study of friction and wear in the frictional contact, due to fact that dissipative structures, self-organising in the open systems, are known to have a fractal behaviour The multi-fractal concept allows to introduce new quantitative structures, characterised by a spectrum of generalised fractal dimensions and reflected by the degree of randomness. Different levels of structure (micro-, mesa- and macro-scale) are described in the framework of multi-fractal analysis. A procedure to calculate the multi-fractal dimension of this structure is developed and the results of the numerical calculations are submitted.Research Of Loading Distribution On Coils Of Running Pair Of The LatchN.H.JavadovIt is given the calculation procedure of distribution of pressure on coils of running pair of latch at various loading schemes. Recommendations are provided for the choice of loading schemes of running pair, which ensures more uniform distributions and therefore, considerably reduces the wear of coils by means of constructive changes in a latch. Modeling And Forecasting The Financial Markets Using Theory Of Deterministic Chaos And Fractals S.M. Javadova This paper presents the results of the multi-fractal analysis based on the wavelet transformation, which can be considered as method of studying the spectral correlation properties of various processes, including non-stationary. Comparative experience with methods MFFA (multi-fractal fluctuation analysis) and WTMM (wavelet transform modulus maxima) in studying of the multi-fractal properties of signals of time function shows that MFFA method is more reliable and robust.As an instrument of the ‘local’ study of time function structure, WTMM allows to evaluate the correlation properties of random processes in comparison with a short signal. Surface Structures Of Frictional Materials On Asbestosfree Base M.I. Aliyev Development of asbestosfree composite materials on petroleum coke base enabled to obtain environmentally sound products with sufficiently high physical, mechanical and tribotechnical characteristics. The materials have been analyzed/tested from the perspective of physicochemical friction mechanics in the breaking mode through the differential-thermal analysis (DTA) and thermogravimetric analysis (TGM), supplemented with the study of friction materials structure. The thermogravimetric analysis findings indicated that decomposition of the new asbestosfree friction material begins after 14 minutes at 3000C.
Download or read book Routledge Handbook of Leisure Studies written by Tony Blackshaw and published by Taylor & Francis. This book was released on 2020-07-26 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This landmark publication brings together some of the most perceptive commentators of the present moment to explore core ideas and cutting edge developments in the field of Leisure Studies. It offers important new insights into the dynamics of the transformation of leisure in contemporary societies, tracing the emergent issues at stake in the discipline and examining Leisure Studies’ fundamental connections with cognate disciplines such as Sociology, Cultural Studies, History, Sport Studies and Tourism. This book contains original work from key scholars across the globe, including those working outside the Leisure Studies mainstream. It showcases the state of the art of contemporary Leisure Studies, covering key topics and key thinkers from the psychology of leisure to leisure policy, from Bourdieu to Baudrillard, and suggests that leisure in the 21st century should be understood as centring on a new ‘Big Seven’ (holidays, drink, drugs, sex, gambling, TV and shopping). No other book has gone as far in redefining the identity of the discipline of Leisure Studies, or in suggesting how the substantive ideas of Leisure Studies need to be rethought. The Routledge Handbook of Leisure Studies should therefore be the intellectual guide of first choice for all scholars, academics, researchers and students working in this subject area.
Download or read book Blockchain Economics and Financial Market Innovation written by Umit Hacioglu and published by Springer Nature. This book was released on 2019-12-03 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses various aspects of blockchains in economic systems and investment strategies in crypto markets. It first addresses the topic from a conceptual and theoretical point of view, and then analyzes it from an assessment and investment angle. Further, it examines the opportunities and limitations of the taxation of crypto currency, as well as the political implications, such as regulation of speculation with crypto currencies. The book is intended for academicians and students in the fields of economics and finance.
Download or read book Profiting from Chaos written by Tonis Vaga and published by Tonis Vaga. This book was released on 1994 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finally, a book that not only explains the relationship between investing and chaos theory--the cutting-edge dicipline that Business Week says will "revitalize the money-management industry"--but also shows readers how to use the theory to master the financial markets. Illustrated.
